Pricing and hedging barrier options

DOI10.1002/ASMB.2316zbMath1396.91806OpenAlexW2793913907MaRDI QIDQ5374586

Allan Jonathan da Silva, Dorival Leão, Estevão Jun. Rosalino, Jack Baczynski

Publication date: 14 September 2018

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2316

zbMATH Keywords

hedgingfinite-difference methodbarrier optionrisk-neutral measureno-arbitrage pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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